RT Report
T1 The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures
A1 Asai, Manabu
A1 Gupta, Rangan
A1 McAleer, Michael
AB The paper investigates the impact of jumps in forecasting co-volatility in the presence of leverage effects. We modify the jump-robust covariance estimator of Koike (2016), such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results for daily crude oil and gold futures show that the co-jumps of the two futures have significant impacts on future co-volatility, but that the impact is negligible in forecasting weekly and monthly horizons.
PB Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
SN 2341-2356
YR 2019
FD 2019
LK https://hdl.handle.net/20.500.14352/17467
UL https://hdl.handle.net/20.500.14352/17467
LA eng
DS Docta Complutense
RD 28 abr 2025